|
MRCI's ScenarioSM Study |
ScenarioSM Study for March Sugar #11(ICE) as of May 31, 2010 |
Condition 1:
Higher Monthly Close. Action --->
Buy that month's close with objective of exceeding month's
high within 2 months. |
Tested Month |
Feb |
Mar |
Apr |
May |
Jun |
Jul |
Aug |
Sep |
Oct |
Nov |
Dec |
Jan |
Tested Years |
|
45 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
Closed Higher |
|
17 |
25 |
21 |
22 |
23 |
19 |
21 |
28 |
26 |
23 |
23 |
Exceeded High |
|
15 |
18 |
19 |
19 |
18 |
18 |
19 |
22 |
20 |
18 |
11 |
Scenario Percentage |
|
88% |
72% |
90% |
86% |
78% |
95% |
90% |
79% |
77% |
78% |
48% |
Avg Max Increase |
|
13.06% |
17.76% |
15.07% |
14.63% |
13.01% |
14.19% |
18.80% |
17.74% |
22.21% |
19.36% |
15.00% |
Max Increase |
|
60.89% |
50.21% |
53.74% |
65.38% |
45.05% |
57.97% |
102.45% |
70.10% |
90.79% |
127.09% |
51.19% |
Avg Days To Max Increase |
|
21 |
20 |
19 |
20 |
18 |
18 |
18 |
14 |
17 |
16 |
15 |
Avg Max Decline |
|
-3.79% |
-1.75% |
-2.49% |
-3.74% |
-3.81% |
-3.88% |
-3.11% |
-3.00% |
-4.03% |
-3.61% |
-3.42% |
Max Decline |
|
-11.88% |
-8.33% |
-13.62% |
-15.38% |
-13.02% |
-12.93% |
-8.44% |
-10.60% |
-12.69% |
-8.18% |
-10.07% |
Avg Days to Max Decline |
|
9 |
3 |
6 |
7 |
9 |
11 |
7 |
8 |
11 |
7 |
3 |
2011 Contract Condition |
|
|
|
|
Yes |
|
|
|
|
|
|
|
Action |
|
|
|
|
|
|
|
|
|
|
|
|
Condition 2:
Lower Monthly Close. Action --->
Sell that month's close with objective of penetrating month's
low within 2 months.
|
Tested Month |
Feb |
Mar |
Apr |
May |
Jun |
Jul |
Aug |
Sep |
Oct |
Nov |
Dec |
Jan |
Tested Years |
|
45 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
Closed Lower |
|
27 |
19 |
24 |
22 |
22 |
26 |
24 |
17 |
19 |
21 |
22 |
Penetrated Low |
|
18 |
16 |
21 |
18 |
16 |
18 |
17 |
10 |
14 |
16 |
16 |
Scenario Percentage |
|
67% |
84% |
88% |
82% |
73% |
69% |
71% |
59% |
74% |
76% |
73% |
Avg Max Decline |
|
14.24% |
14.13% |
13.29% |
15.61% |
16.85% |
13.62% |
10.88% |
9.41% |
12.79% |
15.42% |
9.92% |
Max Decline |
|
30.90% |
34.91% |
24.89% |
28.50% |
36.32% |
31.31% |
23.57% |
18.31% |
30.22% |
39.09% |
19.35% |
Avg Days To Max Decline |
|
18 |
17 |
17 |
21 |
19 |
14 |
13 |
17 |
14 |
16 |
17 |
Avg Max Increase |
|
-1.73% |
-2.62% |
-3.07% |
-4.10% |
-2.97% |
-2.90% |
-4.53% |
-5.00% |
-2.86% |
-3.83% |
-3.19% |
Max Increase |
|
-9.30% |
-8.81% |
-10.03% |
-12.28% |
-6.69% |
-7.77% |
-20.63% |
-14.50% |
-8.65% |
-16.35% |
-9.59% |
Avg Days to Max Increase |
|
5 |
5 |
8 |
12 |
8 |
9 |
8 |
11 |
3 |
6 |
4 |
2011 Contract Condition |
|
Yes |
Yes |
Yes |
|
|
|
|
|
|
|
|
Action |
|
Yes |
Yes |
Not Yet |
|
|
|
|
|
|
|
|
High |
21.05 |
20.45 |
18.50 |
16.65 |
16.00 |
|
|
|
|
|
|
|
Low |
19.50 |
16.41 |
15.70 |
14.56 |
15.60 |
|
|
|
|
|
|
|
Close/Last |
19.88 |
16.70 |
16.61 |
15.65 |
15.89 |
|
|
|
|
|
|
|
|
|
Copyright © 2024 Moore Research Center, Inc. All Rights Reserved. |
www.mrci.com | sales@mrci.com | Phone: 541-525-0521 |
|